Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1402
Annualized Std Dev 0.2703
Annualized Sharpe (Rf=0%) 0.5188

Row

Daily Return Statistics

Close
Observations 2897.0000
NAs 1.0000
Minimum -0.1720
Quartile 1 -0.0056
Median 0.0008
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0069
Maximum 0.1727
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0013
Variance 0.0003
Stdev 0.0170
Skewness -0.0118
Kurtosis 20.4667

Downside Risk

Close
Semi Deviation 0.0120
Gain Deviation 0.0134
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.4296
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0401
Modified VaR (95%) -0.0204
Modified ES (95%) -0.0204
From Trough To Depth Length To Trough Recovery
2020-02-18 2020-03-23 NA -0.4296 276 25 NA
2008-12-22 2009-03-04 2009-08-04 -0.3798 106 23 83
2011-07-25 2011-08-08 2012-02-03 -0.2154 133 11 122
2015-01-28 2016-02-11 2016-06-30 -0.1954 322 240 82
2013-05-22 2013-08-19 2014-08-13 -0.1898 302 62 240

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA 2.1 2.1
2009 0.7 -6.2 -3.3 -3.9 6.8 1.6 -0.1 -4.7 -2.6 -1.6 1.1 -0.3 -12.4
2010 -0.7 2.1 -0.3 -3 -0.7 -0.6 0.3 2.6 0.6 0.8 0.6 -0.7 0.9
2011 0.5 -2.9 -0.1 -0.7 -2.9 1.7 -1.3 -1.3 -1.6 -3.9 -1.5 0 -13.2
2012 0.7 0.2 -0.1 1.8 -2.8 3.7 0 0.4 -0.9 0.7 0.4 0.1 3.9
2013 0.4 0 0.1 0 -0.5 -1.2 0 0 1.9 0 -0.8 -0.4 -0.5
2014 0.7 0.7 -0.3 0.3 0.4 0.6 -0.7 0.5 -0.2 0.9 -0.4 0.2 2.7
2015 -1.6 0.8 0 0.5 1 0.1 0.6 -2.2 2.1 -0.4 1.2 -0.6 1.6
2016 0.6 1.5 -0.1 -2.1 -0.2 1 0.2 -0.1 -0.7 -1.1 -1.1 -0.9 -2.9
2017 -0.6 0 0.4 -0.1 0.4 -0.2 0.5 0.3 0.6 0.1 -0.2 0.3 1.7
2018 0.1 -1.3 -0.2 -0.2 0 0.3 -0.2 0 -0.1 -0.2 -0.3 0.6 -1.3
2019 -0.6 -0.3 0 0.2 0.6 -0.1 -0.2 0.2 -0.7 -0.2 -0.4 0.8 -0.8
2020 -1.1 -3.1 -6.9 -3.7 2.4 2.4 -0.4 -0.2 1.8 -1.1 1.2 1.1 -7.7
2021 2 0.1 -1.5 NA NA NA NA NA NA NA NA NA 0.7

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart